Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Pop Mart International Group Limited backtest
10 trend-following strategies were compared on the full daily history of Pop Mart International Group Limited. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 51.7%, MDD -28.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.2%, drawdown -90.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 57.0%, MDD -31.3%, Sharpe 1.44, 35% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 41.8%p higher than buy and hold, while drawdown improves by 59.0%p (CAGR 51.7%, MDD -28.0%, exposure 35%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=17 |
57.0% | -31.3% | 1.44 | 1.82 | 13.2x | 22 | 35% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=2.2 |
51.7% | -28.0% | 1.44 | 1.84 | 10.8x | 8 | 35% |
| Donchian 채널 돌파 entryN=92, exitN=25 |
44.6% | -29.2% | 1.35 | 1.53 | 8.2x | 6 | 31% |
| EMA 크로스오버 fast=7, slow=191 |
41.6% | -44.4% | 1.21 | 0.94 | 7.3x | 8 | 39% |
| ROC 모멘텀 n=103, threshold=0.05 |
42.4% | -38.8% | 1.18 | 1.09 | 7.6x | 17 | 41% |
| SMA 크로스오버 fast=7, slow=215 |
40.6% | -52.6% | 1.18 | 0.77 | 7.0x | 10 | 40% |
| 볼린저 밴드 돌파 n=46, k=2.7 |
34.0% | -37.3% | 1.15 | 0.91 | 5.3x | 14 | 28% |
| Supertrend period=33, mult=5 |
41.0% | -47.4% | 1.09 | 0.86 | 7.1x | 12 | 41% |
| MACD fast=17, slow=57, signal=18 |
25.0% | -76.8% | 0.74 | 0.33 | 3.6x | 45 | 52% |
| Parabolic SAR step=0.015, maxStep=0.32 |
3.4% | -68.6% | 0.30 | 0.05 | 1.2x | 93 | 51% |
| Buy and hold | 15.2% | -90.3% | 0.55 | 0.17 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)